# Empirical Analysis for Equity

* Folder B005 contains the benchmark case.
** main_JumpBetaEst_Server.m estimates jump betas for all permnos using server-side computation.
** main_PremiaEst.m computes risk premia estimates for the full cross-section.
** Final outputs from main_PremiaEst.m are included to reproduce the results reported in the main text.

* Variants of the benchmark setting (e.g., different frequencies or subsamples or jump specifications) are implemented through minor modifications of the above scripts. Results are stored in the following subfolders under /Equity:
B005_5min, B01, B005_Post2003, B005_AlterSpec, B005_Cont.

* func_table_B005.m generates 15min_B005.csv, used for Table 1 in the paper.
Minor modifications of this function can be used to produce analogous files (e.g., 5min_B005.csv) for other settings. In particular, 15min_Cont.csv is used for Table 4 in the main text. All output files are included in /Equity.

* Robust_Table.m uses the above .csv files to produce FF_1_Robust.csv through FF_6_Robust.csv.
FF_6_Robust.csv, corresponding to Table 5 in the paper, is included in the /Equity folder.

* func_table_Tests_B005.m uses .mat files inside B005 to produce 15min_Tests_B005.csv (Table 2 in the main text.)

* Figure3.m and Figure4.m inside the B005 folder reproduce the corresponding figures in the main text.

* /Equity/Functions/ contains core routines for jump detection, jump beta estimation, and risk premia computation.

* /Equity/Data/ includes sample 15-minute return data for individual equities as well as the constructed factor returns.